TWO Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Repurchase Agreements

Repurchase Agreements

3 Months Ended

Mar. 31, 2022

Disclosure of Repurchase Agreements [Abstract]

As of March 31, 2022 and December 31, 2021, the Company had outstanding $7.9 billion and $7.7 billion, respectively, of repurchase agreements. Excluding the effect of the Company’s interest rate swaps, the repurchase agreements had a weighted average borrowing rate of 0.58% and 0.24% and weighted average remaining maturities of 80 and 67 days as of March 31, 2022 and December 31, 2021, respectively. The borrowing rates quoted by the Company’s repurchase agreement counterparties typically incorporate LIBOR or SOFR as the referenced rate, plus a spread. However, the trades are executed using the all-in rate with no reference to the index quoted. Additionally, all of the Company’s repurchase agreements mature prior to the phase out of LIBOR. See Note 2 - Basis of Presentation and Significant Accounting Policies for further discussion of the transition away from LIBOR.

At March 31, 2022 and December 31, 2021, the Company’s repurchase agreements had the following characteristics and remaining maturities:


	March 31, 2022
	Collateral Type
(in thousands)	Agency RMBS			Non-Agency Securities			Agency Derivatives			Mortgage Servicing Rights			Total Amount Outstanding
Within 30 days	$	2,165,781		$	—		$	17,437		$	—		$	2,183,218
30 to 59 days	1,067,496			—			16,259			—			1,083,755
60 to 89 days	1,917,513			—			—			—			1,917,513
90 to 119 days	974,584			—			—			—			974,584
120 to 364 days	1,312,491			219			876			400,000			1,713,586


Total	$	7,437,865		$	219		$	34,572		$	400,000		$	7,872,656
Weighted average borrowing rate	0.40		%	1.97		%	0.76		%	3.88		%	0.58		%


	December 31, 2021
	Collateral Type
(in thousands)	Agency RMBS			Non-Agency Securities			Agency Derivatives			Mortgage Servicing Rights			Total Amount Outstanding
Within 30 days	$	1,617,186		$	—		$	10,097		$	—		$	1,627,283
30 to 59 days	1,807,544			—			—			—			1,807,544
60 to 89 days	1,979,717			171			1,168			—			1,981,056
90 to 119 days	1,240,915			—			8,520			—			1,249,435
120 to 364 days	849,868			—			16,259			125,000			991,127


Total	$	7,495,230		$	171		$	36,044		$	125,000		$	7,656,445
Weighted average borrowing rate	0.17		%	1.24		%	0.74		%	4.00		%	0.24		%

The following table summarizes assets at carrying values that are pledged or restricted as collateral for the future payment obligations of the Company’s repurchase agreements:


(in thousands)	March 31, 2022		December 31, 2021
Available-for-sale securities, at fair value	$	6,494,873	$	7,009,449


Mortgage servicing rights, at fair value (1)	1,178,954		725,985

Restricted cash	557,441		747,779
Due from counterparties	666,056		30,764
Derivative assets, at fair value	29,302		39,609

Total	$	8,926,626	$	8,553,586

____________________

(1)MSR repurchase agreements are secured by a VFN issued in connection with the Company’s securitization of MSR, which is collateralized by the Company’s MSR.

Although the transactions under repurchase agreements represent committed borrowings until maturity, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets would require the Company to provide additional collateral or fund margin calls.

The following table summarizes certain characteristics of the Company’s repurchase agreements and counterparty concentration at March 31, 2022 and December 31, 2021:


	March 31, 2022							December 31, 2021
(dollars in thousands)	Amount Outstanding		Net Counterparty Exposure (1)		Percent of Equity		Weighted Average Days to Maturity	Amount Outstanding		Net Counterparty Exposure (1)		Percent of Equity		Weighted Average Days to Maturity



Credit Suisse	$	400,000	$	384,213	15	%	314	$	125,000	$	353,975	13	%	181
All other counterparties (2)	7,472,656		290,343		11	%	68	7,531,445		314,258		11	%	65
Total	$	7,872,656	$	674,556				$	7,656,445	$	668,233

____________________

(1)Represents the net carrying value of the assets sold under agreements to repurchase, including accrued interest plus any cash or assets on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest.

(2)Represents amounts outstanding with 19 and 19 counterparties at March 31, 2022 and December 31, 2021, respectively.

The Company does not anticipate any defaults by its repurchase agreement counterparties. There can be no assurance, however, that any such default or defaults will not occur.